Research Output 2013 2017

  • 2 Citations
  • 1 h-Index
  • 4 Article
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Article
2017

An Integration by Parts Type Formula for Stopping Times and its Application

Nakatsu, T. 2017 Sep 1 In : Methodology and Computing in Applied Probability. 19, 3, p. 751-773 23 p.

Research output: Research - peer-reviewArticle

Volatility risk structure for options depending on extrema

Nakatsu, T. 2017 Dec 1 In : Journal of Computational Finance. 21, 3, p. 105-122 18 p.

Research output: Research - peer-reviewArticle

Barrier options
Stochastic differential equations
Black-Scholes model
Volatility risk
Lookback options
2016
Stochastic differential equations
Density function
Probability density function
Differential equations
Continuous time
2013
2 Citations
Continuity
Stochastic differential equations
Coefficients
Malliavin calculus